You're right, this is not necessary. They just have to be accessible when SFML.Net tries to load them.
You may have multiple copies of your SFML.Net DLLs, make sure that you're referring to the right ones (they should be in your executable's directory).
So yeah, I'm having some sort of post-XNA syndrome. I've just gotten out of the habit of doing things in the executables directory. For example, while trying to load that image I forgot that I just needed to add it to the same directory as the .exe, and that I'm not using a content pipeline.
Anyways, thanks a lot Laurent, it's pretty crazy to have a single-developer that's so active in helping people on the forums while developing.
Also, I apologize if the image size on that screen-shot is ridiculous, this monitor is 2560x1440 so I try to adjust them before posting.